You obviously can't listen to actual radio stations, as that would require separate hardware that the DS doesn't have. However, you can listen to Internet radio stations witht he method MAD_BOY posted. Download the *.pls or *.m3u playlist file from the website and put it on your card. Launch DSOrganize and enter the file browser, selecting the playlist file to start the Internet radio stream.

There are also a couple of dedicated Internet radio apps for the DS, though I don't remember their names. In addition, you can stream Internet radio through DSLinux though it's not exactly the easiest process ever.